IEEE - Institute of Electrical and Electronics Engineers, Inc. - A novel modified particle swarm optimization for forecasting financial time series

2009 IEEE International Conference on Intelligent Computing and Intelligent Systems (ICIS 2009)

Buy Now

Regular:

Time series has been widely applied in the real world; traditional methods can hardly solve the dynamic environment issue resulting from the assumption of stationary process. Many traditional models and artificial intelligence technologies had been developed under this assumption, and adapted the dynamic environment based on the time-varying characteristic. But these models still has drawback of dividing the time series into training set and testing set when developing the models. It means the time-varying characteristic of these two sets did not be considered, and it might cause spurious regression phenomenon and result in misleading the statistic analysis. In order to forecast dynamic time series, a model which can consider the dynamic environment and conquer the out-of-sample problem is necessary. Particle swarm optimization (PSO) has the characteristics of fast-convergence and avoiding local optimal, also has been widely used in the time series forecasting. In this research, we proposed a modified PSO to consider the dynamic environment issue and use the advantage of PSO to forecast the dynamic financial time series.

View Less

Related Documents

Introduction of department of biological sciences and biotechnology

August 1, 2002 - Tsinghua University Press Ltd.

A description is not available for this item.

Markov model applied to gene evolution

December 1, 2001 - Tsinghua University Press Ltd.

The study nucleoti de substitution is very important both to our understanding of gene evolution and to reliable estimation of phylogenetic relationships. In this paper nucleotide substitution is assumed to be random and the Markov model is applied to the study of the evolution of genes. Then a non-...

Integration of decision-support and knowledge-based techniques in a problem-solving strategy for selection problems

June 1, 1996 - China Aerospace Science and Industry Corporation (CASIC)

The limitations of traditional approaches to selection problems are examined. A problemsolving strategy is presented in which decision-support and knowledge-based techniques play complementary roles. An approach to the representation of knowledge to support the problem-solving strategy is presented ...

Special secret sharing scheme with the function of assignment

September 1, 2005 - China Aerospace Science and Industry Corporation (CASIC)

A concept of secret sharing scheme with the function of assignment is proposed. It provides great capabilities for many practical applications. In this scheme, the dealer can randomly assign one or more than one participant to get the secret at any time, but these participants can get nothing about ...

Reduction and simplification of explicit LTL model checking via an abstraction method

February 1, 2009 - Tsinghua University Press Ltd.

An abstraction method developed for the explicit linear temporal logic model checking was geared towards reducing the useless part of the state space during the abstraction period. This reduces the cost during the abstraction period relative to models requiring many useless states. A dining-philosop...

Related Products

Searching for related products...

Related Suppliers

Searching for related suppliers...

Author(s):	An-Pin Chen ; Chien-Hsun Huang ; Yu-Chia Hsu
Publisher:	IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date:	1 November 2009
Conference Location:	Shanghai, China, China
Conference Date:	20 November 2009
Volume:	1
Page(s):	683 - 687
ISBN (CD):	978-1-4244-4738-1
ISBN (Paper):	978-1-4244-4754-1
DOI:	10.1109/ICICISYS.2009.5357771